The R package DEoptim implements the differential evolution algorithm. This algorithm is an
evolutionary technique similar to genetic algorithms that is useful for the solution of global …

Earnings press releases, as a timely vehicle for communicating a firm’s performance to third
parties, can be used by managers to influence the perception of the firm’s achievements. …

We empirically test the prediction of Pastor, Stambaugh, and Taylor (2021) that green firms
outperform brown firms when concerns about climate change increase unexpectedly, using …

Opening, lunch and closing of financial markets induce a periodic component in the volatility
of high-frequency returns. We show that price jumps cause a large bias in the classical …

This paper evidences the strategic positioning of positive and negative words within a CEO
letter as a subtle form of impression management. We find that managers tend to present …

We perform a large-scale empirical study in order to compare the forecasting performances
of single-regime and Markov-switching GARCH ( MSGARCH ) models from a risk …

We empirically test the prediction of Pástor et al. (2021) that green firms outperform brown
firms when concerns about climate change increase unexpectedly, using data for S&P 500 …

Modied Value at Risk (VaR) is an estimator of VaR based on the Cornish-Fisher expansion.
It is fast to compute and reliable for non-normal returns. In this paper, we introduce modified …

We describe the package MSGARCH, which implements Markov-switching GARCH models
in R with efficient C++ object-oriented programming. Markov-switching GARCH models …

… Kris Boudt was instrumental in our research on component risk for portfolios with non-normal
distributions, and is responsible for much of the code for multivariate moments and co-…